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Re: Re: st: Regression with different firms


From   "felix kreppel" <felix.kreppel@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: Regression with different firms
Date   Fri, 10 Aug 2012 19:24:59 +0200

It's the same with the statsby command

When I do statsby _b, by(timeseries): regress excess_return market_return smb hml wml 
the he reports coefficient=0 for all months..


-------- Original-Nachricht --------
> Datum: Fri, 10 Aug 2012 16:01:38 +0200
> Von: "felix kreppel" <felix.kreppel@gmx.de>
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: Re: st: Regression with different firms

> Ok I have the solution: I used the Fama-Macbeth regression commmand xtfmb
> (net search xtfmb). The procedure is as follows: In the first step, for
> each single time period a cross-sectional regression is performed. Then, in
> the second step,  the final coefficient estimates are obtained as the average
> of the first step coefficient estimates.
> 
> I just tried to do this with my dataset with regression equation:
> 
> xtfmb market_return smb hml wml but 
> 
> But when he gives me the regression output hey says variable coefficient =
> 0 and standard error omitted?
> 
> -------- Original-Nachricht --------
> > Datum: Fri, 10 Aug 2012 14:27:55 +0200
> > Von: "felix kreppel" <felix.kreppel@gmx.de>
> > An: statalist@hsphsun2.harvard.edu
> > Betreff: Re: Re: st: Regression with different firms
> 
> > Thank you for your answer.
> > 
> > My original empirical analysis works as follows:
> > 
> > I am estimating a 4-Factor Model (with 4 factors: SMB, market_return,
> HML,
> > WML which are the same for all firms) augmented by a fifth explanatory
> > variable (which influence I want to evaluate) which is calculated as the
> > average weekly standard deviation of excess return 12 months prior to
> month t
> > for each firm:
> > 
> > return_i_t=a*market_return_t+b*SMB_t+c*HML_t+d*WML_t+e*std_i_t
> > 
> > where t indicates the month and i indicates the firm over a sample
> period
> > of 25 years.
> > 
> > What I did so far to solve my regression problem was to average all firm
> > returns to an equally weighted index and also averaged all the previous
> > volatilities to an equally weighted index and then estimated the
> following
> > regression
> > 
> > return_t=a*market_return_t+b*SMB_t+c*HML_t+d*WML_t+e*std_t
> > 
> > with the command: newey return market_return smb hml wml std, lag(4) to
> > address the serial correlation in the error terms.
> > 
> > I do not know, however, if this approach works. Especially averaging all
> > the previous standard deviations to one independent variable.
> > 
> > Isn't there a possibility to run a regression for each single firm (say
> > for each year) and then average coefficients, significane levels and
> standard
> > errors together over the whole time period?
> > 
> > 
> > 
> > 
> > > -------- Original-Nachricht --------
> > > Datum: Fri, 10 Aug 2012 10:42:43 +0000
> > > Von: Christopher Baum <kit.baum@bc.edu>
> > > An: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
> > > Betreff: Re: Re: st: Regression with different firms
> > > &#xA
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